The electronic securities trading marketplace has evolved such that multiple exchanges and brokers often trade the same particular product. For example, many equity products or instruments (e.g., stocks, options, futures, indices, etc.) are tradable on multiple equity exchanges. U.S. Treasury products are tradable with multiple brokers who present their order books electronically, which is similar to how exchanges present their order books, through a similar style of application programmable interface (API).
When buying and selling securities, it is often desirable to buy and sell at the best price available throughout a set of exchanges or brokers (the terms “exchanges” and “brokers” are used herein interchangeably) where a particular product can be traded. Often different exchanges have different prices and liquidity for the same product at the same time, so the decision to buy or sell a given security can mean buying or selling that security on multiple exchanges at the same time. Furthermore, different brokers might charge different commissions for trades done on them and might have different trading rules. A trader might wish to trade on an exchange with lower commissions or more favorable rules, execution price being the same among the exchanges.
Often, a trader wishes to buy (or sell) a certain quantity of a product at a size far greater than what is available in the market at a given time, or at a price better than where the market is willing to sell (or buy) that product. In that case, the trader may wish to show a smaller size than what he really wants to buy or sell, perhaps showing the smaller size among various exchanges at the price he is willing to buy or sell at. The trader might even be willing to buy (or sell) a quantity at a worse price, but doesn't want to show the worse price unless the market moves away from him. As market conditions change and his order is filled, he might want to add more size back into the market or adjust his price on the various exchanges.
A trader may wish to transact with other traders within the same firm or trading desk, or an otherwise “internal” trading group (affiliates, preferred customers and clients, preferred partners, etc.) without showing the general marketplace his or her order. He might be willing to trade at a better price internally than in the marketplace because he doesn't pay commissions or has a favorable relationship with the internal traders. Therefore, he may want to ensure that his orders are always executed internally before being executed externally or show them at a better price internally, while also showing them externally.
Lastly, the various exchanges and brokers in the marketplace generally have wildly different APIs for sending orders and receiving prices, which makes it difficult for those exchanges to all be accessed simultaneously through the same system.
Missing from the art is a unifying system that can allow a group of traders to transact internally with each other, allow a trader to route his order in a favorable way between internal traders and external marketplaces in order to maximize his goal of achieving the best price possible from a preferred set of exchanges without showing his hand, and unify the wildly varying APIs various exchanges provide such that the different exchanges can be accessed from the same end system. The present invention can satisfy these and other needs.